Skip to main content

Questions tagged [commodities]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0 votes
1 answer
63 views

Arbitrage arguments for a commodity forward on investment assets

I am trying to understand the arbitrage arguments used for commodity forwards on investment assets. The theoretical price is given by $F_0 = (S_0 + U)e^{rT}$, where $U$ is the present value of all the ...
significance seeker's user avatar
0 votes
0 answers
33 views

Justification of the Risk Neutral Measure in the Schwartz One Factor Commodity Model

I have been trying to understand the form of the risk neutral measure in the Schwartz one factor model for commodities (Model 1 on page 6 here) where the spot price of a commodity follows the process ...
ShaftSinker's user avatar
0 votes
0 answers
83 views

Commodity forward curve Monte-Carlo

I need to value an Asian commodity option using Monte Carlo and a log-normal model. The inputs are the commodity forward curve and the volatility surface for futures/options expiry. Unfortunately, all ...
Sergey Chigrinov's user avatar
0 votes
0 answers
90 views

Forecasting forward curve using Gaussian Process Regression

I have daily closing prices of crude oil monthly contracts up to 36 months. Some contracts are not very liquid so there are missing prices at random. I stitched together contracts to make them rolling ...
MilTom's user avatar
  • 165
1 vote
0 answers
59 views

How is volatility surface re-calibrated with new inputs?

I'm a newby on this topic so please bear with me. My question is: I've a strike by strike / listed products volatility surface, and I was asking how can I recalibrate my surface during the day ...
Giovanni Venticinque's user avatar
1 vote
1 answer
125 views

API for stock price data for commercial re-distribution? [duplicate]

(I know there are existing questions on this topic, but none seem to be for commercial re-distribution use, so please keep this question active.) It seems there are many websites offering API for ...
Cool_Coder's user avatar
1 vote
0 answers
120 views

Updated Methods for deriving the "front month equivalent" series in commodities derivatives

It is common in commodities markets to hold many positions, both long and short, across a range of contract months beginning in the prompt month to five or more years out. [My question is:] What is ...
LordBaZinga's user avatar
2 votes
0 answers
56 views

Mispricing models for non-equity asset classes

Despite risk-factor models like Fama/French (1993) or q-theory based models like Hou et al. (2015), others have proposed factor-models to capture mispricing in equities, e.g. Stambaugh/Yuan (2017) and ...
skoestlmeier's user avatar
  • 2,926
1 vote
0 answers
112 views

MonteCarlo Value At Risk for futures portfolio

I wanted to ask, suppose I have a portfolio of futures of gasoline and other oil products eg ULSD (Ultra Low Sulphur Diesel), WTI (West Texas Intermediate) for different months. I want to compute the ...
Hustler885's user avatar
0 votes
0 answers
50 views

Long and short Open interest not adding up to 0 ESMA COT data

I have a rather silly question, from my understanding in the futures market (commodities in this case) There should be a buyer and a seller for every futures position that is initiated. Open interest:...
Jorisdrees's user avatar
1 vote
1 answer
165 views

Why do companies trade options?

Companies buy options to reduce the variability in future cash flows. Institutional investors invest in portfolios to maximize return for a fixed amount of risk. If an investor owns stock in company A ...
user62863's user avatar
2 votes
0 answers
155 views

option pricing using empirical distribution

I am looking for ways to express a directional bet on a commodity through futures options. Assume that there's 50% probability that oil will spike up 100% in the span of 30% during the next 9 months ...
Spasski's user avatar
  • 21
0 votes
1 answer
193 views

Commodity Futures Cascading in Python

I am new to Quantitative Finance so please bear with me. I have the following data set: ...
Saïd Maanan's user avatar
0 votes
1 answer
492 views

Commodities forward curve

I'm dealing with the calibration of the forward curve for energy products. I found an approach proposed by Benth et al., in which the forward curve is parameterized as $f(t) = s(t) + \epsilon(t)$ ...
Andrea Di Iura's user avatar
0 votes
1 answer
48 views

Are the buy/sell demand, the underlying spot price and the time value, the only factors in futures contract price?

Are the buy/sell demand on the future contract, the underlying spot price and the time value (days to expiration and the accelerating decay in backwardation or rising in contango, coefficent ) are the ...
huab's user avatar
  • 101
0 votes
0 answers
96 views

Discounting power derivatives

My question is whether power/energy derivatives should be discounted or not. I've heard both yes and no from practitioners but I still don't have a strong or clear opinion about it. Derivatives are ...
KT8's user avatar
  • 853
4 votes
1 answer
239 views

How do you price an option on fresh corn?

I'm preparing for quant interviews, and I had this question for myself. I'm not actually trading corn options. My goal here is just to better understand how to deal with these kinds of options. ...
user60181's user avatar
2 votes
1 answer
326 views

Samuelson Effect with Prices or Returns?

I have a crude oil term structure dataset with 12 contracts (CL1-CL12). This makes the term structure approx. 1 year long. The Samuelson effect states that contracts with a longer time to maturity (...
Ben's user avatar
  • 21
1 vote
1 answer
185 views

Do futures trading and commodity trading distort the spot price in a negative way?

Futures and commodity trading are one of the main way (if not the main way) how spot prices get determined. But the sheer scale of futures and commodities market and their notional value is mind ...
Afiacpti's user avatar
2 votes
1 answer
255 views

Interpreting Implied Volatility in Commodities Options

I understand that implied volatility is the expected volatility of an underlying contract in the Black option pricing model. This is easy to interpret for assets delivered at a point in time. But how ...
CasusBelli's user avatar
0 votes
2 answers
252 views

Implementing a hedging strategy for oil future options

I am currently writing a paper examining two models for pricing options on WTI Crude oil futures, and I want to backtest hedging strategies from both model and compare them against each other. However,...
Vetlekos's user avatar
2 votes
0 answers
99 views

Are there any studies on the link between energy markets and hedging-strategies for Cryptocurrency mining?

Full Disclaimer: I first asked this question on Bitcoin.SE, however I feel like my question is more relevant to this site as there would be wider knowledge and insight of some better sources or ...
Hamish Gibson's user avatar
5 votes
3 answers
559 views

How does the underlying get delivered for electricity market derivatives?

I have been reading around energy markets recently and recent schemes such as Voluntary Carbon Markets, similar to the 'cap and trade' style of the Kyoto Agreement in 1997. I have been reading in ...
Hamish Gibson's user avatar
2 votes
2 answers
330 views

Liquidity measures for Commodities Futures

I would like to find a way to measure Liquidity for Commodities Futures. I found the following 4 papers/definitions: Volume (Share / Dollar) (Dollar Volume Liquidity) Amivest Liquidity Ratio (...
Newbie's user avatar
  • 21
-2 votes
1 answer
96 views

Pricing a European call option that has one underlying asset to compare with strike but 2 underlyings as payout

This is a real world problem and not a research one. We are being proposed to buy an option that has to be exercised on a specific date T. So it is a European option. This option has a strike price of ...
J.Doe's user avatar
  • 1
0 votes
2 answers
116 views

Bloomberg Crude Oil Indices

I am trying to gather a time series data for Crude Oil Future prices (both Brent and WTI) to work on a project. I see that the BCOMCO (Brent) and BCOMCL (WTI) indices are constructed from the ...
Bhaskar Gudimetla's user avatar
0 votes
1 answer
103 views

How is the futures price set on days without trades?

In an illiquid (commodity) futures market, several days may pass between trades in a contract. If the traders' positions must be marked to market every day, a price must be quoted even on days without ...
Richard Hardy's user avatar
0 votes
2 answers
377 views

How to get commodity futures settlement timepoints?

I need to find some easy approach to get the daily settlement times (not the exact milisecond, just the general rule hh:mm) for multiple commodity futures (agriculture, metals, energy) on multiple ...
Betelgeux's user avatar
  • 103
1 vote
1 answer
224 views

What is the need of commodity swap if commodity forwards are available?

I am just trying to understand that if commodity forwards are available, what is the use of a commodity swap. If a farmer wants to hedge his risk, he can do it via entering into a commodity forward, ...
userx's user avatar
  • 161
0 votes
1 answer
119 views

Cross hedge: Which commodity to hedge when you have to hedge the jet fuel price but you have option between two commodities

If we have an option between two commodities to hedge jet fuel and the commodities have results as follows: minimum variance hedge ratio: 1.07 for commodity 1 and 2.53 for commodity 2 ...
Jai Suneja's user avatar
12 votes
1 answer
3k views

Negative price of oil

Yesterday and today, some kinds of oil have been traded for negative prices. Does it mean that I can take oil from seller and at the same time I get money? Or is the negative price connected only ...
Martin Vesely's user avatar
0 votes
0 answers
54 views

IG - WTI Spot Price vs Future

I am a beginner and have a basic question. I was looking at OIL - US Crude in IG today (20th of April), they have a spot and a future contract. Today was the last trading day for May future ...
XTrading's user avatar
1 vote
3 answers
601 views

Why are options on commodity futures traded instead of options on spot commodities?

When people mention "commodity options", they almost invariably mean "options on commodity futures contracts". Why do commodity options have futures as underlying, and not the commodities themselves ...
Flux's user avatar
  • 531
1 vote
1 answer
179 views

Different performance between GLD, IAU and PHYS

At this very moment (about 10:15, 2020/3/24), GLD/IAU are up about 4.5% and PHYS about 3.5% What causes such differences? Gold bars are in short supply around the world (https://www.ft.com/content/...
CuriousMind's user avatar
0 votes
1 answer
423 views

Simple forward price of a commodity formula

Given the spot price of a commodity C, an annual interest rate r, a time to maturity in years t, and storage and insurance cots to maturity s we can express the forward price (using simple interest) ...
roz's user avatar
  • 989
4 votes
1 answer
546 views

Value at Risk for portfolio with different maturities

I am new to StackExchange and relatively new to quantitative finance. I work at a commodity trading company and we have an extensive portfolio of futures and options on commodities (traded on the CME, ...
ealeks's user avatar
  • 43
3 votes
1 answer
360 views

Predicting natural gas prices using weather data

I developed a model for predicting temperatures and I am planning to add this to a natural gas fair value model together with other parameters. My question is: is the natural gas future price ...
Vitomir's user avatar
  • 821
2 votes
1 answer
229 views

Is it possible to make money from futures premium decay?

A futures premium decays as expiration nears (eg contango). Say I short West Texas Intermediate (WTI) crude oil futures. If the spot price has even odds of going up or down, do I (on average) profit ...
user43510's user avatar
0 votes
1 answer
102 views

Where can I find good resources to learn about Factor Investing in Commodities Market?

I’m fairly new to Commodities and would like to learn more about how factor strategies work in this space. Does anyone have good guides/references to recommend? Thanks
Ile's user avatar
  • 311
1 vote
2 answers
125 views

Where can one find the daily prices of commodity futures of multiple maturities and time to expiration of the contracts?

I'm currently working on an algorithm to estimate implied spot prices on commodity futures using a pretty old paper (Schwartz 1997). My algorithm works just fine, I just need to run the data to ...
Tryrshaugh's user avatar
1 vote
2 answers
181 views

Why does the coffee price tracking index Dow Jones-UBS Coffee differ so much from the actual coffee price?

I am looking at ETFs that track coffee price indices and I have noticed that there is quite big discrepancy between the ETFs underlying coffee indices (Dow Jones-UBS Coffee is an example) and the ...
v0rin's user avatar
  • 113
1 vote
0 answers
97 views

Commodity Selection Index Derivation

The formula for the CSI, as found on page 111 of J. Welles Wilder's New Concepts in Technical Trading Systems (link), is as follows: I'm curious about the derivation. Multiplying the ADXR and ATR14 ...
user11629's user avatar
  • 111
1 vote
3 answers
6k views

Commodity Asian Swaps

I'm trying to find info about asian swaps on oil/energy products and about their pricing methods. However, all I could find are on asian options. Would be glad if you can provide me with some ...
user38391's user avatar
0 votes
1 answer
1k views

how to derive the cost of carry formula

Can anyone explain why the cost of carry formula looks like this: $$F_0 = S_0 \cdot e^{(c-y)T}$$ ,where $S_0$ equals the spot price when $T=0$, i.e. today. $c$ denotes the cost of carry and $y$ the ...
Aksel's user avatar
  • 41
1 vote
0 answers
88 views

Resource to learn about Long / Short Commodities portfolio

As title says, I'm looking to learn more about Commodities trading and how to report and monitor a Long short Portfolio. Can anyone point me to a good book / website where I can improve my knowledge? ...
Nicola Torrisi's user avatar
2 votes
1 answer
345 views

Is there any open source library for commodities trading (pricing/risk managment)?

I think the question is no, as commodities trading requires far more exotic payoffs and hence higher variety of code. I know that there is a private company known Allegro, one of the main suppliers ...
Ant's user avatar
  • 75
1 vote
1 answer
89 views

Some questions of precious metal Futures

We always regard precious metal as a FX rate e.g XAU/USD. Is there any concept of spot rate for precious metal? If yes, then we know the dynamic of FX spot rate under risk neutral measure can be ...
user6703592's user avatar
2 votes
1 answer
441 views

Natural Gas Modelling

In job adverts for natural gas/power trading it states knowledge of supply and demands models for these commodities. Does anyone know of any good papers or primers on S&D modelling?
Trajan's user avatar
  • 2,552
0 votes
1 answer
433 views

How does an exchange guarantee both legs of a calendar spread are executed atomically to give a specific spread?

In commodities/oil you have monthly contracts for a given Future, e.g. on CME the Crude Oil Futures (CL) monthly contracts can be trades, and have Globex codes such as CLZ8(Crude Oil Dec18 Future), ...
MajorInc's user avatar
  • 138
0 votes
1 answer
81 views

Futures options data [duplicate]

I've been looking into futures options data for my thesis. What are some sources to get futures options data for an affordable price?
alexsong2016's user avatar